{
 "cells": [
  {
   "cell_type": "code",
   "execution_count": 737,
   "id": "06a3a190",
   "metadata": {},
   "outputs": [],
   "source": [
    "from datetime import datetime\n",
    "import sys\n",
    "import os\n",
    "import math\n",
    "import numpy as np\n",
    "import pandas as pd\n",
    "import pandas_ta as ta\n",
    "from ta.volatility import BollingerBands\n",
    "from ta.volatility import KeltnerChannel\n",
    "from ta.trend import STCIndicator\n",
    "import datetime\n",
    "from pandas.tseries.holiday import USFederalHolidayCalendar\n",
    "from pandas.tseries.offsets import CustomBusinessDay\n",
    "US_BUSINESS_DAY = CustomBusinessDay(calendar=USFederalHolidayCalendar())\n",
    "import matplotlib.pyplot as plt\n",
    "import plotly.graph_objects as go\n",
    "from plotly.subplots import make_subplots\n",
    "import itertools\n",
    "import matplotlib.dates as mpl_dates"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 738,
   "id": "0efcee28",
   "metadata": {},
   "outputs": [],
   "source": [
    "def load_data_file(symbol):\n",
    "    #  Create output file name\n",
    "    daily_file_name = \"{}_1d_1m.csv\".format(symbol)\n",
    "    daily_full_path = os.path.join('C:\\\\dev\\\\trading\\\\tradesystem1\\\\data\\\\crypto\\\\', daily_file_name)\n",
    "\n",
    "    #  Check if output file exists\n",
    "    if os.path.exists(daily_full_path):\n",
    "        df = pd.read_csv(daily_full_path, parse_dates=True)\n",
    "        if df.empty:\n",
    "            return None\n",
    "        df['Date'] = pd.to_datetime(df['Datetime'])\n",
    "        df['Date'] = df['Date'].apply(mpl_dates.date2num)\n",
    "        df = df[[\"Date\", \"Open\", \"High\", \"Low\", \"Close\", \"Volume\"]]\n",
    "        return df\n",
    "    else:\n",
    "        return None"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 739,
   "id": "19e1327b",
   "metadata": {},
   "outputs": [],
   "source": [
    "def calculate_tis(df):\n",
    "    bb_window = 20\n",
    "    indicator_bb = BollingerBands(close=df['Close'], window=bb_window, window_dev=2)\n",
    "\n",
    "    # Add Bollinger Bands features\n",
    "    df['BB_mid'] = indicator_bb.bollinger_mavg()\n",
    "    df['BB_high'] = indicator_bb.bollinger_hband()\n",
    "    df['BB_low'] = indicator_bb.bollinger_lband()\n",
    "        \n",
    "    rsi_window = 14\n",
    "    df['RSI'] = ta.rsi(df['Close'], window=rsi_window)\n",
    "    \n",
    "    stc_window_slow = 50\n",
    "    stc_window_fast = 23\n",
    "    stc_cycle = 10\n",
    "    indicator_stc = STCIndicator(close=df['Close'], window_slow=stc_window_slow, window_fast=stc_window_fast, cycle=stc_cycle, smooth1=3, smooth2=3)\n",
    "\n",
    "    # Add features\n",
    "    df['STC'] = indicator_stc.stc()\n",
    "    \n",
    "    \n",
    "    return df"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 740,
   "id": "4f003b74",
   "metadata": {},
   "outputs": [],
   "source": [
    "def calculate_signals(df):\n",
    "    df['RSI_entry_ind'] = np.where(np.logical_and((df['RSI'] > 34), (df['RSI'].shift() <= 34)), 1, 0)\n",
    "    df['RSI_exit_ind'] = np.where(np.logical_and((df['RSI'] < 84), (df['RSI'].shift() >= 84)), 1, 0)\n",
    "    \n",
    "    #  Calculate upper / lower boundary for BB\n",
    "    close_prices = df['Close'].to_numpy()\n",
    "    max_close = np.amax(close_prices)\n",
    "    min_close = np.amin(close_prices)\n",
    "    diff_close = max_close - min_close\n",
    "    df['BB_low_adj'] = df[\"BB_low\"] + (diff_close * 0.09)\n",
    "    df['BB_entry_ind'] = np.where((df[\"Close\"] <= df[\"BB_low_adj\"]), 1, 0)\n",
    "    df['BB_high_adj'] = df[\"BB_high\"] - (diff_close * 0.07)\n",
    "    df['BB_exit_ind'] = np.where((df[\"Close\"] >= df[\"BB_high_adj\"]), 1, 0)\n",
    "    \n",
    "    df['STC_entry_ind'] = np.where(np.logical_and(df['STC'] > 73, df['STC'].shift() <= 73), 1, 0)\n",
    "    df['STC_exit_ind'] = np.where(np.logical_and(df['STC'] < 97, df['STC'].shift() >= 97), 1, 0)\n",
    "    return df"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 741,
   "id": "ac54b11d",
   "metadata": {},
   "outputs": [],
   "source": [
    "def execute_strategy(df):\n",
    "    close_prices = df['Close'].to_numpy()\n",
    "    rsi_entry = df['RSI_entry_ind'].to_numpy()\n",
    "    rsi_exit = df['RSI_exit_ind'].to_numpy()  \n",
    "    bb_entry = df['BB_entry_ind'].to_numpy()\n",
    "    bb_exit = df['BB_exit_ind'].to_numpy()\n",
    "    stc_entry = df['STC_entry_ind'].to_numpy()\n",
    "    stc_exit = df['STC_exit_ind'].to_numpy()  \n",
    "\n",
    "    required_entry_signals = 3\n",
    "    required_exit_signals = 3\n",
    "\n",
    "    last_entry_price = 0\n",
    "    entry_prices = []\n",
    "    exit_prices = []\n",
    "    hold = 0\n",
    "\n",
    "    for i in range(len(close_prices)):\n",
    "        current_price = close_prices[i]\n",
    "        num_entry_signals = 0\n",
    "        num_exit_signals = 0\n",
    "\n",
    "        lookback_ind = i - 20\n",
    "        if lookback_ind >= 0:\n",
    "            rsi_entry_lookback = rsi_entry[lookback_ind:i]\n",
    "            if 1 in rsi_entry_lookback:\n",
    "                num_entry_signals += 1\n",
    "            rsi_exit_lookback = rsi_exit[lookback_ind:i]\n",
    "            if 1 in rsi_exit_lookback:\n",
    "                num_exit_signals += 1\n",
    "   \n",
    "            bb_entry_lookback = bb_entry[lookback_ind:i]\n",
    "            if 1 in bb_entry_lookback:\n",
    "                num_entry_signals += 1\n",
    "            bb_exit_lookback = bb_exit[lookback_ind:i]\n",
    "            if 1 in bb_exit_lookback:\n",
    "                num_exit_signals += 1\n",
    "     \n",
    "            stc_entry_lookback = stc_entry[lookback_ind:i]\n",
    "            if 1 in stc_entry_lookback:\n",
    "                num_entry_signals += 1\n",
    "            stc_exit_lookback = stc_exit[lookback_ind:i]\n",
    "            if 1 in stc_exit_lookback:\n",
    "                num_exit_signals += 1   \n",
    "                \n",
    "        #  Verify Entry indicators\n",
    "        if hold == 0 and num_entry_signals >= required_entry_signals:\n",
    "            last_entry_price = current_price\n",
    "            entry_prices.append(current_price)\n",
    "            exit_prices.append(np.nan)\n",
    "            hold = 1\n",
    "        #  Exit strategy\n",
    "        elif hold == 1 and num_exit_signals >= required_exit_signals:\n",
    "            entry_prices.append(np.nan)\n",
    "            exit_prices.append(current_price)\n",
    "            hold = 0\n",
    "        else:\n",
    "            #  Neither entry nor exit\n",
    "            entry_prices.append(np.nan)\n",
    "            exit_prices.append(np.nan)\n",
    "\n",
    "    return entry_prices, exit_prices"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 742,
   "id": "73118c6c",
   "metadata": {},
   "outputs": [],
   "source": [
    "def plot_graph(symbol, df, entry_prices, exit_prices):\n",
    "    fig = make_subplots(rows=3, cols=1, subplot_titles=['Close + BB','RSI','STC'])\n",
    "\n",
    "    #  Plot close price\n",
    "    fig.add_trace(go.Line(x = df.index, y = df['Close'], line=dict(color=\"blue\", width=1), name=\"Close\"), row = 1, col = 1)\n",
    "    \n",
    "    #  Plot bollinger bands\n",
    "    bb_high = df['BB_high']\n",
    "    bb_mid = df['BB_mid']\n",
    "    bb_low = df['BB_low']\n",
    "    fig.add_trace(go.Line(x = df.index, y = bb_high, line=dict(color=\"orange\", width=1), name=\"BB High\"), row = 1, col = 1)\n",
    "    fig.add_trace(go.Line(x = df.index, y = bb_mid, line=dict(color=\"#ffd866\", width=1), name=\"BB Mid\"), row = 1, col = 1)\n",
    "    fig.add_trace(go.Line(x = df.index, y = bb_low, line=dict(color=\"orange\", width=1), name=\"BB Low\"), row = 1, col = 1)\n",
    "    \n",
    "    #  Plot RSI\n",
    "    fig.add_trace(go.Line(x = df.index, y = df['RSI'], line=dict(color=\"blue\", width=1), name=\"RSI\"), row = 2, col = 1)\n",
    "\n",
    "    #  Plot STC\n",
    "    fig.add_trace(go.Line(x = df.index, y = df['STC'], line=dict(color=\"blue\", width=1), name=\"STC\"), row = 3, col = 1)\n",
    "\n",
    "    #  Add buy and sell indicators\n",
    "    fig.add_trace(go.Scatter(x=df.index, y=entry_prices, marker_symbol=\"arrow-up\", marker=dict(\n",
    "        color='green',\n",
    "    ),mode='markers',name='Buy'))\n",
    "    fig.add_trace(go.Scatter(x=df.index, y=exit_prices, marker_symbol=\"arrow-down\", marker=dict(\n",
    "        color='red'\n",
    "    ),mode='markers',name='Sell'))\n",
    "    \n",
    "    fig.update_layout(\n",
    "        title={'text':f\"{symbol} with BB-RSI-STC\", 'x':0.5},\n",
    "        autosize=False,\n",
    "        width=800,height=800)\n",
    "    fig.update_yaxes(range=[0,1000000000],secondary_y=True)\n",
    "    fig.update_yaxes(visible=False, secondary_y=True)  #hide range slider\n",
    "    \n",
    "    fig.show()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 743,
   "id": "a3510cc3",
   "metadata": {},
   "outputs": [],
   "source": [
    "#  Assuming reinvesting the proceeds\n",
    "def calculate_profit(start_investment, entry_prices, exit_prices):\n",
    "    hold = 0\n",
    "    profit = 0\n",
    "    available_funds = start_investment\n",
    "    cost = 0\n",
    "    num_stocks = 0\n",
    "    for i in range(len(entry_prices)):\n",
    "        current_entry_price = entry_prices[i]\n",
    "        current_exit_price = exit_prices[i]\n",
    "\n",
    "        if not math.isnan(current_entry_price) and hold == 0:\n",
    "            num_stocks = available_funds / current_entry_price\n",
    "            cost = num_stocks * current_entry_price\n",
    "            hold = 1\n",
    "\n",
    "        elif hold == 1 and not math.isnan(current_exit_price):\n",
    "            hold = 0\n",
    "            proceeds = num_stocks * current_exit_price\n",
    "            profit += proceeds - cost\n",
    "\n",
    "    return math.trunc(profit)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 744,
   "id": "bd6493fa",
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "Number of trades: 6\n",
      "Profit with start_investment of $1000: $51\n"
     ]
    },
    {
     "name": "stderr",
     "output_type": "stream",
     "text": [
      "C:\\Users\\dutch\\anaconda3\\envs\\tradesystem1\\lib\\site-packages\\plotly\\graph_objs\\_deprecations.py:378: DeprecationWarning:\n",
      "\n",
      "plotly.graph_objs.Line is deprecated.\n",
      "Please replace it with one of the following more specific types\n",
      "  - plotly.graph_objs.scatter.Line\n",
      "  - plotly.graph_objs.layout.shape.Line\n",
      "  - etc.\n",
      "\n",
      "\n"
     ]
    },
    {
     "data": {
      "application/vnd.plotly.v1+json": {
       "config": {
        "plotlyServerURL": "https://plot.ly"
       },
       "data": [
        {
         "line": {
          "color": "blue",
          "width": 1
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         "name": "Close",
         "type": "scatter",
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   "source": [
    "# MAIN\n",
    "symbol = 'ETH-USD'\n",
    "start_investment = 1000\n",
    "df = load_data_file(symbol)\n",
    "df = df.tail(1440)\n",
    "df = calculate_tis(df)\n",
    "df = calculate_signals(df)\n",
    "\n",
    "entry_prices, exit_prices = execute_strategy(df)\n",
    "profit = calculate_profit(start_investment, entry_prices, exit_prices)\n",
    "trades = np.array(exit_prices)\n",
    "num_trades = len(trades[~np.isnan(trades)])\n",
    "print(f\"Number of trades: {num_trades}\")\n",
    "print(f\"Profit with start_investment of ${start_investment}: ${profit}\")\n",
    "plot_graph(symbol, df, entry_prices, exit_prices)"
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